FAANG Stocks, Gold, and Islamic Equity: Implications for Portfolio Management during COVID-19

Kashif Saleem (), Osama AlHares, Haroon Khan and Omar Farooq
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Kashif Saleem: Faculty of Business, University of Wollongong in Dubai, Dubai P.O. Box 20183, United Arab Emirates
Osama AlHares: Faculty of Business, University of Wollongong in Dubai, Dubai P.O. Box 20183, United Arab Emirates
Haroon Khan: Faculty of Business, University of Wollongong in Dubai, Dubai P.O. Box 20183, United Arab Emirates
Omar Farooq: School of Business, ADA University, Baku P.O. Box AZ1008, Azerbaijan

Risks, 2023, vol. 11, issue 1, 1-11

Abstract: During the COVID-19 pandemic, technology stocks, such as FAANG stocks (Facebook, Amazon, Apple, Netflix, and Google), attracted the attention of global investors due to the vast use of technology in daily business. However, technology stocks are generally considered risky stocks; hence, efficient risk management is required to construct an optimal portfolio. In this study, we investigate the volatility spillovers and dynamic conditional correlations among the daily returns of FAANG company stocks, gold, and sharia-compliant equity to construct the optimal portfolio weights and hedge ratios during the COVID-19 pandemic period by utilizing a multivariate GARCH framework. The dynamic conditional correlations reveal that both gold and sharia-compliant equities exhibit lower correlations with FAANG stocks during the COVID-19 pandemic, implying opportunities for portfolio diversification. The findings indicate that gold and shariah-compliant equity are good candidates to hedge FAANG stocks. These findings are highly relevant for international investors, asset managers, hedgers, and portfolio managers.

Keywords: COVID-19; FAANG stocks; Islamic Equity; portfolio management (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2023
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